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Distribution free testing for conditional distributions given covariates

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  • Khmaladze, Estate

Abstract

Given a sample (ξi,Xi)i=1n of i.i.d. pairs, consider Fx and Qx as two different models for conditional distribution of ξi given Xi=x. The paper shows how the empirical process for testing Fx can be transformed into a process with the same asymptotic behavior as the empirical process for testing Qx thereby rendering the two testing problems equivalent.

Suggested Citation

  • Khmaladze, Estate, 2017. "Distribution free testing for conditional distributions given covariates," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 348-354.
    • Handle: RePEc:eee:stapro:v:129:y:2017:i:c:p:348-354
    DOI: 10.1016/j.spl.2017.06.026
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    References listed on IDEAS

    as
    1. Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
    2. Thuong T. M. Nguyen, 2017. "A new approach to distribution free tests in contingency tables," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(2), pages 153-170, February.
    3. Delgado, Miguel A. & Stute, Winfried, 2008. "Distribution-free specification tests of conditional models," Journal of Econometrics, Elsevier, vol. 143(1), pages 37-55, March.
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    Cited by:

    1. Roberts, Leigh A., 2019. "Distribution free goodness of fit testing of grouped Bernoulli trials," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 47-53.

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